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Details about Bernd Wilfling

E-mail:
Homepage:http://www.wiwi.uni-muenster.de/statistik/organisation/wilfling/index.html
Workplace:Westfälische Wilhelms-Universität, Department of Economics, Am Stadtgraben 9, 48143 Münster, Germany
Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Westfälische Wilhelms-Universität Münster (University of Munster), (more information at EDIRC)

Access statistics for papers by Bernd Wilfling.

Last updated 2019-12-07. Update your information in the RePEc Author Service.

Short-id: pwi156


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Working Papers

2019

  1. Sup-ADF-style bubble detection methods under test
    Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association Downloads
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2019) Downloads

2018

  1. An approach to increasing forecast-combination accuracy through VAR error modeling
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads
  2. Forecasting Inflation Uncertainty in the G7 Countries
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads
    See also Journal Article in Econometrics (2018)

2017

  1. A new stock-price bubble with stochastically deflating trajectories
    Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association Downloads
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017) Downloads

    See also Journal Article in Applied Economics Letters (2018)
  2. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data
    Working Papers, University of Pretoria, Department of Economics
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017) Downloads
  3. Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads View citations (2)

2016

  1. A new combination approach to reducing forecast errors with an application to volatility forecasting
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads
  2. Short selling constraints and stock returns volatility: empirical evidence from the German stock market
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads View citations (2)
    See also Journal Article in Economic Modelling (2016)

2015

  1. Estimating rational stock-market bubbles with sequential Monte Carlo methods
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads

2014

  1. Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads
    See also Journal Article in Journal of Futures Markets (2016)

2013

  1. Periodically collapsing Evans bubbles and stock-price volatility
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads
    See also Journal Article in Economics Letters (2014)

2012

  1. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads View citations (4)
    See also Journal Article in Energy Economics (2013)
  2. The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2011) Downloads

    See also Journal Article in Journal of Financial Stability (2014)

2011

  1. Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads View citations (1)

2010

  1. An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads

2009

  1. Do Individual Index Futures Investors Destabilize the Underlying Spot Market?
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads View citations (7)
    See also Journal Article in Journal of Futures Markets (2011)
  2. Identification of speculative bubbles using state-space models with Markov-switching
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2011)

2004

  1. Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
    HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) Downloads View citations (1)
    See also Journal Article in Empirical Economics (2007)

2003

  1. Exchange and Interest Rates prior to EMU: The Case of Greece
    Discussion Paper Series, Hamburg Institute of International Economics Downloads View citations (1)
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2003) Downloads View citations (2)
  2. Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany
    Discussion Paper Series, Hamburg Institute of International Economics Downloads
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2003) Downloads

2001

  1. Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes
    Discussion Paper Series, Hamburg Institute of International Economics Downloads
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2001) Downloads
  2. Since When Have FOREX Markets Incorporated EMU into Currency Pricing? Evidence from Four Exchange Rate Series
    Discussion Paper Series, Hamburg Institute of International Economics Downloads
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2001) Downloads
  3. The Convergence of International Interest Rates Prior to Monetary Union
    Discussion Paper Series, Hamburg Institute of International Economics Downloads
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2001) Downloads

Journal Articles

2018

  1. A new stock-price bubble with stochastically deflating trajectories
    Applied Economics Letters, 2018, 25, (15), 1091-1096 Downloads
    See also Working Paper (2017)
  2. Forecasting Inflation Uncertainty in the G7 Countries
    Econometrics, 2018, 6, (2), 1-25 Downloads
    See also Working Paper (2018)

2016

  1. A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
    Quantitative Finance, 2016, 16, (3), 411-426 Downloads View citations (4)
  2. Short selling constraints and stock returns volatility: Empirical evidence from the German stock market
    Economic Modelling, 2016, 58, (C), 159-166 Downloads View citations (2)
    See also Working Paper (2016)
  3. Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
    Journal of Futures Markets, 2016, 36, (1), 30-45 Downloads View citations (3)
    See also Working Paper (2014)

2014

  1. Periodically collapsing Evans bubbles and stock-price volatility
    Economics Letters, 2014, 123, (3), 383-386 Downloads View citations (4)
    See also Working Paper (2013)
  2. The restoration of the gold standard after the US Civil War: A volatility analysis
    Journal of Financial Stability, 2014, 12, (C), 37-46 Downloads
    See also Working Paper (2012)
  3. The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime
    International Review of Economics & Finance, 2014, 29, (C), 483-496 Downloads

2013

  1. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    Energy Economics, 2013, 36, (C), 491-502 Downloads View citations (52)
    See also Working Paper (2012)

2011

  1. Do individual index futures investors destabilize the underlying spot market?
    Journal of Futures Markets, 2011, 31, (1), 81-101 Downloads View citations (11)
    See also Working Paper (2009)
  2. Estimating the degree of interventionist policies in the run-up to EMU
    Applied Economics, 2011, 43, (2), 207-218 Downloads View citations (5)
  3. Identification of speculative bubbles using state-space models with Markov-switching
    Journal of Banking & Finance, 2011, 35, (5), 1073-1086 Downloads View citations (31)
    See also Working Paper (2009)

2009

  1. Institutional investors and stock returns volatility: Empirical evidence from a natural experiment
    Journal of Financial Stability, 2009, 5, (2), 170-182 Downloads View citations (16)
  2. Markov-switching in target stocks during takeover bids
    Journal of Empirical Finance, 2009, 16, (5), 745-758 Downloads View citations (9)
  3. Volatility regime-switching in European exchange rates prior to monetary unification
    Journal of International Money and Finance, 2009, 28, (2), 240-270 Downloads View citations (21)

2007

  1. Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data
    Empirical Economics, 2007, 33, (1), 23-39 Downloads View citations (4)
    See also Working Paper (2004)

2001

  1. Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay
    Journal of International Money and Finance, 2001, 20, (1), 91-113 Downloads View citations (20)

1999

  1. Wechselkursdynamik im Vorfeld einer Währungsunion / Exchange Rate Dynamics Prior to Monetary Union
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, 218, (1-2), 23-44 Downloads

1996

  1. Lorenz ordering of generalized beta-II income distributions
    Journal of Econometrics, 1996, 71, (1-2), 381-388 Downloads View citations (10)
  2. Lorenz ordering of power-function order statistics
    Statistics & Probability Letters, 1996, 30, (4), 313-319 Downloads View citations (5)

1993

  1. The Lorenz-ordering of Singh-Maddala income distributions
    Economics Letters, 1993, 43, (1), 53-57 Downloads View citations (16)
 
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